A partial internal model for longevity risk

DOI10.1080/03461238.2013.836561zbMath1398.91334OpenAlexW1975768470MaRDI QIDQ4576802

Søren Fiig Jarner, Thomas Møller

Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.836561

zbMATH Keywords

mortalitySolvency 2Danish longevity benchmarklongevity stresssystematic and unsystematic risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Mathematical geography and demography (91D20)

Related Items (8)

From regulatory life tables to stochastic mortality projections: the exponential decline model ⋮ Dynamics of state-wise prospective reserves in the presence of non-monotone information ⋮ Cash flows and policyholder behaviour in the semi-Markov life insurance setup ⋮ Long guarantees with short duration: the rolling annuity ⋮ Estimating absorption time distributions of general Markov jump processes ⋮ Financial position and performance in IFRS 17 ⋮ Experience rating in the classic Markov chain life insurance setting ⋮ THE SAINT MODEL: A DECADE LATER

Uses Software

• Human Mortality

Cites Work

• Unnamed Item
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